If your host doesn't have gzip compression on by default or doesn't have it available as a built-in option, you can ask Zen Cart to do it itself by setting GZip Compression to 1 under Admin->Configuration->GZip Compression.
This causes PHP to use the ob_start, ob_flush, etc infrastructure to do output buffering.
http://www.php.net/manual/en/ref.outcontrol.php
You *might* also succeed in enabling it by setting an output_buffering directive in your webroot .htaccess file.
Code:
php_value output_buffering On